Showing papers by "Central Economics and Mathematics Institute published in 2008"

Mechanisms of Resource Curse, Economic Policy and Growth

Abstract: This paper analyzes economic policies in resource rich countries and various mechanisms of resource curse leading to a potentially inefficient use of resources. Arguments are provided in favor of "conditional resource curse" hypothesis: resource abundance hampers growth if institutions of a country are weak. We study the impact of the resource abundance on budget deficit and inflation, foreign exchange reserves and real exchange rate, as well as policies of maintaining low domestic fuel and energy prices. We show that lower domestic fuel prices, that are typical for resource rich countries, have a positive effect on investment in R&D and fixed capital stock, and on long term growth, even though they are associated with losses resulting from higher energy intensity. However, in resource rich countries real exchange rate is generally higher than in other countries. Besides, resource abundance leads to corruption of institutions, especially if these institutions were not strong in the beginning of the period. While there is no solid evidence that, on average, resource abundant countries grow more slowly than the others, there is evidence that they use resources less efficiently, if their institutions are weak.

Problem of temperature dependence in the dynamic spin-fluctuation theory for strong ferromagnets

Abstract: Temperature dependence of the magnetic characteristics of Fe and Fe–Ni Invar is considered in the dynamic nonlocal approximation of the spin-fluctuation theory. Calculations by several numerical methods show that the magnetic characteristics can have a discontinuous jump at high temperatures, well below the Curie temperature. Using the methods of catastrophe theory, we investigate the effect of small changes in the initial data on the results of the calculation. It is demonstrated that the discontinuous jump can only be smoothed but cannot be eliminated entirely without a significant change in the system of equations of the spin-fluctuation theory. Possible variants of such changes are discussed.

Strategies of Modernization, Institutions and Coalitions

Abstract: The article considers alternative variants of strategy formation: "modernization from above" and an approach based on the interaction of "coalitions of interests". To use the advantages of both approaches, it is suggested that a system of interactive control of growth be designed. It should be founded on procedures of compromise making and concerted efforts of the state and "coalitions of actions" such as business and consumers’ associations and trade unions that are already partially organized in Russia. The most important goal of the system is to work out mutually consistent plans of development for different economy sectors. At the first stage, the plans have to ensure fast economic growth by adaptation of western methods and technologies and gradual improvement of institutions as well. These conclusions follow from the analysis of policies of "economic miracle" countries and the theory of reform recommendations.

On Martingale Selectors of Cone-Valued Processes

Abstract: We discuss a result of Guasoni, Rasonyi, and Schachermayer on the existence of martingale selectors for a class of continuous cone-valued processes. The setting includes that arising in models of financial markets with transaction costs.

Market Discipline and Deposit Insurance in Russia

Abstract: The paper presents a study of Russian banks' interest rates on household deposits during the formation period of the deposit insurance system. It is shown that market discipline weakened after deposit insurance was effectively in place.

In discrete time a local martingale is a martingale under an equivalent probability measure

Abstract: 1 Result and Discussion We consider a discrete-time infinite horizon model with an adapted d-dimensional process S = (S t) given on a stochastic basis (Ω, F, F = (F t) t=0,1,... , P). The notations used: M(P), M loc (P) and P are the sets of d-dimensional martingales, local martingales and predictable (i.e. (F t−1)-adapted) processes; H · S t = j≤t H j ∆S j. To our knowledge, this result was never formulated explicitly. On the other hand, it is well-known that if the stopped process S T = (S t∧T), T ∈ N, belongs to M loc (P) then there exists˜P T ∼ P (and even with bounded density d ˜ P T /dP) such that S T ∈ M(˜ P T). This assertion is contained in the classical DMW criteria of absence of arbitrage, see the original paper [1] by Dalang– Morton–Willinger and more recent presentations in [3] and [4] with further references wherein. So, the news is: if S ∈ M loc (P) then the intersection of the sets of true martingale measures for the processes S T is non-empty. Theorem 1 can be extracted from the old paper [6] by Schachermayer which merits a new reading. The proof given here uses the same approach of geometric functional analysis as in [6]. It is based on separation arguments

Shortest path feasibility algorithms: an experimental evaluation

Abstract: This is an experimental study of algorithms for the shortest path feasibility problem: Given a directed weighted graph, find a negative cycle or present a short proof that none exists. We study previously known and new algorithms. Our testbed is more extensive than those previously used, including both static and incremental problems, as well as worst-case instances. We show that, while no single algorithm dominates, a small subset (including a new algorithm) has very robust performance in practice. Our work advances state of the art in the area.

On preference relations that admit smooth utility functions

Abstract: We prove the existence of smooth utility functions for a class of preferences (closed preorders) on a subset X in \({\rm I}\!{\rm R}^n\) which satisfies \(X=X+{\rm I}\!{\rm R}^n_+\). This class of preferences is given by the condition that adding one and the same positive vector to each of two comparable alternatives cannot affect the preference relation between them. Moreover, some its subclass consisting of total preferences admits linear utility functions. Also, we prove the existence of universal smooth utilities for preferences depending on a parameter. Our approach relies on our earlier results on continuous utilities for closed (non-total) preorders on metrizable spaces along with a particular device that enable to pass from a continuous utility to a smooth one.

The Memory of the Future: The Second Edition of the Drama of 'the 1998 Crisis'

Abstract: "Hegel once said: history is repeating itself. He forgot to mention – the first time as a tragedy, and the second time – as a farce..." (C. Marx, The Eighteenth Brumaire of Louis Bonaparte).We have forgotten everything and have learned no lessons. The Central Bank is doing this again. We are “stepping on the same rake” a second time. Just like in 1998, we have first pushed the economy into the economic crisis living though a recession, and only after that and under the pressure of the circumstances, are devaluating the ruble tothe extent required for restoration of production growth.

The Robinson-Schensted-Knuth correspondence and the bijections of commutativity and associativity

Abstract: The bijections of associativity and commutativity arise from symmetries of the Littlewood-Richardson coefficients. We define these bijections in terms of arrays and show that they coincide with analogous bijections defined in terms of discretely concave functions using the octahedron recurrence as well as with bijections defined in terms of Young tableaux. The main ingredient in the proof of their coincidence is a functional version of the Robinson-Schensted-Knuth correspondence.

Investment Timing Problem Under Tax Allowances: The Case of Special Economic Zones

Abstract: Special economic zones (SEZ) are aimed at creating a favorable environment (in terms of taxation, custom rights and administrative burden) for businesses. Particularly, the SEZ are dedicated to the development of certain types of industries or to the revitalization of several economically depressed areas. The institutional role of SEZ in economic development is largely referenced in the literature (see for example [3]). Tax exemptions are one of the most used stimuli in order to attract investment in SEZ.

Corporate Governance and Economic Efficiency of Companies

Abstract: The article shows that transformation from static to dynamic analysis of corporate governance problems requires the enhancement of "corporate governance" definition by including not only relationships between the company and shareholders, but also interactions with numerous other market participants The impact of corporate governance level on economic efficiency of companies is investigated, three core corporate governance principles are proposed Compliance with them ensures the realization of well known corporate governance directives The conclusions are illustrated by case studies of Russian companies